Mar 3, 2011

ASX is getting serious about launching volatility futures and options

Back in September Australian Securities Exchange launched S&P/ASX 200 VIX, but recently ASX took a serious step towards launching derivatives on the index. ASX has released proposed contract specifications, and is soliciting feedback from the industry.

Here is the link to the paper.

The main points are:
1 Options will be American-style, exercisable against futures.
2 PM (close) settlement, as opposed to AM (open) in VIX.
3 Futures and options will have a multiplier of 1000 AUD

I think these differences from VIX and VSTOXX will hinder product liquidity, and my email will urge ASX to create a product that is more in line with the others. Email your comments to Brian Goodman, product development manager at ASX.

My previous post about ASX VIX here.

Update: S&P/ASX 200 VIX Index is now being updated in real-time, with plans to launch futures on "Australian VIX" in the second half of 2013

No comments:

Post a Comment